A Geometric Unification of Distributionally Robust Covariance Estimators: Shrinking the Spectrum by Inflating the Ambiguity Set
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Every day tons of pollutants are emitted into the atmosphere all around the world. These pollutants are altering the equilibrium of our planet, causing profound changes in its climate, increasing global temperatures, and raising the sea level. The need to ...
How many samples are sufficient to guarantee that the eigenvectors and eigenvalues of the sample covariance matrix are close to those of the actual covariance matrix? For a wide family of distributions, including distributions with finite second moment and ...
The paper addresses the problem of designing distributed observers for discrete linear time-invariant (LTI) systems with distributed sensor nodes subjected to bounded measurement noise. A solution is proposed in terms of a distributed LTI Luenberger observ ...
It is well known that visual-inertial state estimation is possible up to a four degrees-of-freedom (DoF) transformation (rotation around gravity and translation), and the extra DoFs (“gauge freedom”) have to be handled properly. While different approaches ...
Linear inverse problems are ubiquitous. Often the measurements do not follow a Gaussian distribution. Additionally, a model matrix with a large condition number can complicate the problem further by making it ill-posed. In this case, the performance of pop ...
The chapter presents an approach for the interactive definition of curves and motion paths based on Gaussian mixture model (GMM) and optimal control. The input of our method is a mixture of multivariate Gaussians defined by the user, whose centers define a ...
Functional data analyses typically proceed by smoothing, followed by functional PCA. This paradigm implicitly assumes that rough variation is due to nuisance noise. Nevertheless, relevant functional features such as time-localised or short scale fluctuatio ...
In this paper, we present a new method for the estimation of the prediction-error covariances of a Kalman filter (KF), which is suitable for step-varying processes. The method uses a series of past innovations (i.e., the difference between the upcoming mea ...
Institute of Electrical and Electronics Engineers2017
We propose an estimator for the mean of a random vector in Rd that can be computed in time O(n3.5 + n2d) for n i.i.d. samples and that has error bounds matching the sub-Gaussian case. The only assumptions we make about the data distribution are that it has ...
Traditional approaches to analysing functional data typically follow a two-step procedure, consisting in first smoothing and then carrying out a functional principal component analysis. The idea underlying this procedure is that functional data are well ap ...